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Itô type measure-valued stochastic differential equations
Authors:Feng-Yu Wang
Affiliation:School of Mathematical Sciences, Beijing Normal University, Beijing 100875, China
Abstract:A class of Itô type measure-valued stochastic differential equations is studied on a locally compact Polish space. The SDEs are driven by countably many Brownian motions with interactions caused by the diffusion and the drift coefficients through countably many continuous functions. Explicit conditions are presented for the existence, uniqueness and ergodicity of the solution.
Keywords:Stochastic differential equation   Measure-valued process   Polish space   Diffusion process
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